(X1, X2) has a bivariate Gaussian copula with correlation p. Show that the low tail-dependence coefficient...

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(X1, X2) has a bivariate Gaussian copula with correlation p. Show that the low tail-dependence coefficient of (X1, X2) is zero, hence the Gaussian copula is asymp- totically independent in tails. (X1, X2) has a bivariate Gaussian copula with correlation p. Show that the low tail-dependence coefficient of (X1, X2) is zero, hence the Gaussian copula is asymp- totically independent in tails.